This paper proposes a new method to analyze time series data with regime shifts and makes the following three contributions: (1) it suggests an exponential weighted estimation algorithm for autoregressive model with time varying coefficients, (2) it gives a visualization technique of structural change points and an outlier measure based on the Mahalanobis distance and (3) it illustrates that our method works for hedge fund return data and high frequency FX data.
{"title":"An Approach to Modeling on Financial Time Series Data with Regime Shifts","authors":"Daisuke Yokouchi, Takeshi Kato, Y. Aoki","doi":"10.15057/30973","DOIUrl":"https://doi.org/10.15057/30973","url":null,"abstract":"This paper proposes a new method to analyze time series data with regime shifts and makes the following three contributions: (1) it suggests an exponential weighted estimation algorithm for autoregressive model with time varying coefficients, (2) it gives a visualization technique of structural change points and an outlier measure based on the Mahalanobis distance and (3) it illustrates that our method works for hedge fund return data and high frequency FX data.","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"151 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115994330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Shibusawa Eiichi, an entrepreneur in modern Japan, insisted that morality and economy are mutually inseparable, and therefore compatible. Although this doctrine of “the inseparability of morality and economy” was regarded as the hallmark philosophy of Shibusawa, he is not the only one to advocate the compatibility of morality and economics. Adam Smith and Michael Porter have made similar assertions. Closely comparing their opinions with Shibusawaʼs opinion, however, turns up some inherent differences. Similarly to Smith and Porter, Shibusawa is fully in favor of the pursuit of private profit; but unlike them, he emphasizes that business should be conducted with public interest as the intended and primary objective in itself. The very order of “public interest first, private profit second” is the essence of Shibusawaʼs doctrine. I would argue in this paper that Shibusawaʼs doctrine has a great potential in re-inventing contemporary capitalism in crisis.
{"title":"Prioritizing Public Interest: The Essence of Shibusawa's Doctrine and Its Implications for the Re-invention of Capitalism","authors":"Kazuhiro Tanaka","doi":"10.15057/30972","DOIUrl":"https://doi.org/10.15057/30972","url":null,"abstract":"Shibusawa Eiichi, an entrepreneur in modern Japan, insisted that morality and economy are mutually inseparable, and therefore compatible. Although this doctrine of “the inseparability of morality and economy” was regarded as the hallmark philosophy of Shibusawa, he is not the only one to advocate the compatibility of morality and economics. Adam Smith and Michael Porter have made similar assertions. Closely comparing their opinions with Shibusawaʼs opinion, however, turns up some inherent differences. Similarly to Smith and Porter, Shibusawa is fully in favor of the pursuit of private profit; but unlike them, he emphasizes that business should be conducted with public interest as the intended and primary objective in itself. The very order of “public interest first, private profit second” is the essence of Shibusawaʼs doctrine. I would argue in this paper that Shibusawaʼs doctrine has a great potential in re-inventing contemporary capitalism in crisis.","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128274455","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study explores the relationship between banks' choice of capital buffers and prevailing macroeconomic conditions. Considering the unique features of Japan's economy and diverse capital adequacy standards, I analyze the data of Japanese commercial banks from 2002 to 2012. I find a negative relationship between capital buffers and the phases of the business cycle, but a positive relationship for internationally active banks. The negative signs were larger in magnitude and of higher significance level when including crisis dummies. The findings suggest that the capital buffers of internationally active banks behave in a countercyclical manner; however, during crises, the capital buffer patterns became procyclical.
{"title":"The Cyclical Patterns of Capital Buffers: Evidence from Japanese Banks","authors":"Karen Lin","doi":"10.15057/30975","DOIUrl":"https://doi.org/10.15057/30975","url":null,"abstract":"This study explores the relationship between banks' choice of capital buffers and prevailing macroeconomic conditions. Considering the unique features of Japan's economy and diverse capital adequacy standards, I analyze the data of Japanese commercial banks from 2002 to 2012. I find a negative relationship between capital buffers and the phases of the business cycle, but a positive relationship for internationally active banks. The negative signs were larger in magnitude and of higher significance level when including crisis dummies. The findings suggest that the capital buffers of internationally active banks behave in a countercyclical manner; however, during crises, the capital buffer patterns became procyclical.","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133352774","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Von wenigen Ausnahmen abgesehen, beschränken sich bisherige Untersuchungen der Produktionsund Kostentheorie auf den Fertigungsbereich. Die Produktionsund Kostentheorie für die allgemeinen Dienstleistungen wurde z.B. von Berekoven (1974), Maleri (1991), Altenburger (1980) und Corsten (1990) erforscht. Dabei handelte es sich um die allgemeingültigen Produktionsfaktorsysteme für Dienstleistungsunternehmungen. Vor allem das Problem des externen Faktors wurde diskutiert. Dieses Problem möchte ich im nächsten Abschnitt behandeln. Im Rahmen der innerbetrieblichen Serviceerstellung entsteht die Frage, was man unter dem Output der Servicefunktionen verstehen soll. Ich möchte diese Frage unter Einbeziehung des Begriffes des „externen Faktors“ beantworten. Darauf muss ich hingewiesen, dass der Einsatz der Grenzplankostenrechnung im Servicebereich auf Messungsprobleme stößt. Aber die Probleme der Inputund der Outputmessung bestehen sowohl bei der Istkostenrechnung als auch schon bei der Produktionsund Kostentheorie der Servicefunktionen. Trotzdem wurden diese Probleme selten diskutiert. Daher möchte ich an dieser Stell auch auf diese Probleme näher eingehen.
{"title":"Produktions- und kostentheoretische Fundierung der Kostenrechnung der Servicefunktionen","authors":"Hiroshi Obata","doi":"10.15057/30131","DOIUrl":"https://doi.org/10.15057/30131","url":null,"abstract":"Von wenigen Ausnahmen abgesehen, beschränken sich bisherige Untersuchungen der Produktionsund Kostentheorie auf den Fertigungsbereich. Die Produktionsund Kostentheorie für die allgemeinen Dienstleistungen wurde z.B. von Berekoven (1974), Maleri (1991), Altenburger (1980) und Corsten (1990) erforscht. Dabei handelte es sich um die allgemeingültigen Produktionsfaktorsysteme für Dienstleistungsunternehmungen. Vor allem das Problem des externen Faktors wurde diskutiert. Dieses Problem möchte ich im nächsten Abschnitt behandeln. Im Rahmen der innerbetrieblichen Serviceerstellung entsteht die Frage, was man unter dem Output der Servicefunktionen verstehen soll. Ich möchte diese Frage unter Einbeziehung des Begriffes des „externen Faktors“ beantworten. Darauf muss ich hingewiesen, dass der Einsatz der Grenzplankostenrechnung im Servicebereich auf Messungsprobleme stößt. Aber die Probleme der Inputund der Outputmessung bestehen sowohl bei der Istkostenrechnung als auch schon bei der Produktionsund Kostentheorie der Servicefunktionen. Trotzdem wurden diese Probleme selten diskutiert. Daher möchte ich an dieser Stell auch auf diese Probleme näher eingehen.","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116624832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Luxury Watches as Double-Storied Symbol System: Brand Historicity in Ahistorical China","authors":"Dingjian Wang, Y. Yamashita","doi":"10.15057/30132","DOIUrl":"https://doi.org/10.15057/30132","url":null,"abstract":"","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128654242","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines which accounting information -one is accounting information based on Japanese GAAP (JGAAP) and the other is those based on IFRS- better explains total market capitalizations of firms’ common stock and credit ratings issued by credit-rating agencies. Our results are as follows. First, both value and credit rating relevance of IFRS-based net income measures are statically significantly lower than those based on JGAAP. Second, IFRS-based net income measures incrementally lower the credit rating relevance of accounting information. These results suggest that both value and credit rating relevance of net income information of Japanese firms could become impaired by the adoption of IFRS.
{"title":"The Value and Credit Relevance of IFRS versus J-GAAP Accounting Information","authors":"Jong-hoon Kim, Y. Koga","doi":"10.15057/30974","DOIUrl":"https://doi.org/10.15057/30974","url":null,"abstract":"This paper examines which accounting information -one is accounting information based on Japanese GAAP (JGAAP) and the other is those based on IFRS- better explains total market capitalizations of firms’ common stock and credit ratings issued by credit-rating agencies. Our results are as follows. First, both value and credit rating relevance of IFRS-based net income measures are statically significantly lower than those based on JGAAP. Second, IFRS-based net income measures incrementally lower the credit rating relevance of accounting information. These results suggest that both value and credit rating relevance of net income information of Japanese firms could become impaired by the adoption of IFRS.","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133830477","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Fair value measurement (FVM) has been criticized for its pro-cyclical effect, especially during the financial crisis of 2008. In this study, we extend the concept of pro-cyclicality to business firms and explore whether and how such FVM affects corporate investment. Specifically, we use other comprehensive income (OCI) as an aggregated metric of fair value adjustments and regard this as a potential financing constraint on investment. In a sample of Japanese listed firms, we find that negative OCI in particular, negative OCI on foreign currency translations results in lower capital investment. Moreover, we report that a decline in foreign currency translations is more likely to inhibit a firmʼs over-investment rather than to encourage under-investment. Overall, our findings suggest that FVM provides timely and useful information to managers in terms of their investment decision-making.
{"title":"IMPACT OF FAIR VALUE MEASUREMENT ON CORPORATE INVESTMENT: OTHER COMPREHENSIVE INCOME","authors":"Tomohiro Suzuki, Takuma Kochiyama","doi":"10.15057/28854","DOIUrl":"https://doi.org/10.15057/28854","url":null,"abstract":"Fair value measurement (FVM) has been criticized for its pro-cyclical effect, especially during the financial crisis of 2008. In this study, we extend the concept of pro-cyclicality to business firms and explore whether and how such FVM affects corporate investment. Specifically, we use other comprehensive income (OCI) as an aggregated metric of fair value adjustments and regard this as a potential financing constraint on investment. In a sample of Japanese listed firms, we find that negative OCI in particular, negative OCI on foreign currency translations results in lower capital investment. Moreover, we report that a decline in foreign currency translations is more likely to inhibit a firmʼs over-investment rather than to encourage under-investment. Overall, our findings suggest that FVM provides timely and useful information to managers in terms of their investment decision-making.","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124754237","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
How does scientific quantification come into areas where uncodified knowledge and craftsmanship are recognized as a mission-critical factor? Exploring the sake brewing process, this study examines how quantification based on science has been implemented and utilized in the traditional brewing process from the 2000s. Scientific quantification in the sake brewing process grew not from the fallen trust in experts and the need to ensure accountability, but from the expected shortage of expert supply. Substituting seasonal migrant experts with in-house workers, introducing scientific quantification into the brewing criteria, and relying on rigorous measurement obtained from award-winners presented a reasonable solution to the decreasing seasonal migrant master brewer supply. The introduction of rigorous quantification aimed to eliminate variation in sake quality and to control brewing quality at a high level that is supposed to be equivalent to the quality that can be achieved by the guidance of a top master brewer. Quantification has advanced in brewing, even though consumers still highly appreciate the uncodified knowledge that craftsmanship holds.
{"title":"WHICH DO YOU PREFER, ARTISANAL OR LABORATORY MADE?: QUANTIFICATION IN TRADITIONAL JAPANESE SAKE BREWING","authors":"Keisuke Hori, Yusuke Hoshino, H. Shimizu","doi":"10.15057/28855","DOIUrl":"https://doi.org/10.15057/28855","url":null,"abstract":"How does scientific quantification come into areas where uncodified knowledge and craftsmanship are recognized as a mission-critical factor? Exploring the sake brewing process, this study examines how quantification based on science has been implemented and utilized in the traditional brewing process from the 2000s. Scientific quantification in the sake brewing process grew not from the fallen trust in experts and the need to ensure accountability, but from the expected shortage of expert supply. Substituting seasonal migrant experts with in-house workers, introducing scientific quantification into the brewing criteria, and relying on rigorous measurement obtained from award-winners presented a reasonable solution to the decreasing seasonal migrant master brewer supply. The introduction of rigorous quantification aimed to eliminate variation in sake quality and to control brewing quality at a high level that is supposed to be equivalent to the quality that can be achieved by the guidance of a top master brewer. Quantification has advanced in brewing, even though consumers still highly appreciate the uncodified knowledge that craftsmanship holds.","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"129 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127089470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study explores the fundamentals of profitability dispersion across ten countries between 1982 and 2007. Profitability dispersion level and its time-series behavior vary by year and by country. Both accounting and economic factors cause this phenomenon. Using aggregate data, we report evidence that the dispersion is significantly related to income smoothing, discretion in reported earnings, the presence of small firms, and macro firm performance. The presented results are almost robust to the definition of profitability dispersion and differences of legal system. Our research contributes to the literature on international differences in earnings properties.
{"title":"WHAT EXPLAINS WIDENING PROFITABILITY DISPERSION AROUND THE WORLD","authors":"M. Nakano, Yasuharu Aoki","doi":"10.15057/28214","DOIUrl":"https://doi.org/10.15057/28214","url":null,"abstract":"This study explores the fundamentals of profitability dispersion across ten countries between 1982 and 2007. Profitability dispersion level and its time-series behavior vary by year and by country. Both accounting and economic factors cause this phenomenon. Using aggregate data, we report evidence that the dispersion is significantly related to income smoothing, discretion in reported earnings, the presence of small firms, and macro firm performance. The presented results are almost robust to the definition of profitability dispersion and differences of legal system. Our research contributes to the literature on international differences in earnings properties.","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116939055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The theory of reasoned action (Ajzen and Fishbein (1977)) is one of the most well known concepts used in quantitative analysis in marketing research. In addition to its simple structure, predictive power, and diagnostic information associated with marketing actions, it includes two clearly distinct independent factors, that is, attitude and social norm for the intention of choice alternatives. Because characteristics of this model are so attractive and flexible, the theory of reasoned action model can be adapted from collectivistic regions to individualistic regions. However, we have little knowledge about whether or not this model works satisfactorily in strong group-oriented countries where social norms can surpass individual attitudes for choice alternatives (which is the definition of a group-oriented society). In this paper, data collected from Japan, China and Taiwan were analyzed using factor analysis and structural equation modeling. By investigating the empirical results with a focus on the effect of personal relationship classification, we show that care should be exercised in using the reasoned action model in countries that have strong group-orientation.
{"title":"EMPIRICAL STUDY OF PERSONAL RELATIONSHIP CLASSIFICATION EFFECT AMONG GROUP-ORIENTED COUNTRIES","authors":"Ichiro Furukawa","doi":"10.15057/28213","DOIUrl":"https://doi.org/10.15057/28213","url":null,"abstract":"The theory of reasoned action (Ajzen and Fishbein (1977)) is one of the most well known concepts used in quantitative analysis in marketing research. In addition to its simple structure, predictive power, and diagnostic information associated with marketing actions, it includes two clearly distinct independent factors, that is, attitude and social norm for the intention of choice alternatives. Because characteristics of this model are so attractive and flexible, the theory of reasoned action model can be adapted from collectivistic regions to individualistic regions. However, we have little knowledge about whether or not this model works satisfactorily in strong group-oriented countries where social norms can surpass individual attitudes for choice alternatives (which is the definition of a group-oriented society). In this paper, data collected from Japan, China and Taiwan were analyzed using factor analysis and structural equation modeling. By investigating the empirical results with a focus on the effect of personal relationship classification, we show that care should be exercised in using the reasoned action model in countries that have strong group-orientation.","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124979692","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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